Nonlinear Taylor rule for the European Central Bank

Darius Kulikauskas ()

Economics Bulletin, 2014, vol. 34, issue 3, 1798-1804

Abstract: In this paper I add to the evidence on possible nonlinearities in the conduct of ECB monetary policy. For this purpose a nonlinear Taylor rule (threshold regression) was estimated and compared to a linear benchmark model. The estimation was carried out with output gap data computed from quarterly GDP time series. The results show that a nonlinear Taylor rule fits the data better than a linear one.

Keywords: Taylor rule; monetary policy; threshold; European Central Bank; ECB; nonlinear (search for similar items in EconPapers)
JEL-codes: E0 E5 (search for similar items in EconPapers)
Date: 2014-08-20
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Citations: View citations in EconPapers (5)

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